Widening the Range of Underlyings for Derivatives Pricing with QUAD by Using Finite Difference to Calculate Transition Densities—Demonstrated for the No-Arbitrage SABR Model

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• David Newton

  • D.P.Newtonbath.acuk

  • Management - Head of Division
  • Accounting, Finance & Law
  • Centre for Governance, Regulation and Industrial Strategy

  Person: Research & Teaching